From what I remember the greater demons are 1000-1500 pts each, but that doesn't seem excessive, even in 40K. I'm struggling to recall all this precisely from memory, but I think the gist is correct. For example, the Bloodthirster can fly - gets a demon save (4+?) followed by regeneration 4+ and regeneration of 4+ again for his axe. That means 7 out of 8 successful woundings are ignored however powerful the weapon and they are tough enough that most small arms can't hurt them. On the attacking front, he would need a 2+ to hit almost anything and strength would rise from 8 to 10 with his first two kills, giving him about 80% chance of wounding with each of 10 attacks and every successful wound kills automatically.
So, he could knock down the enemy heavy weapons by repeated strafing runs - flying over them and hacking them down with his axe as he goes, probably killing at least 5 or 6 each time. If he got a good speed up he could distribute his attacks down the whole enemy battle line and the combination of fear plus losing close combat rounds would rout most of them. Once the heavy weapons are dead, there's very little that can harm him, and nothing could touch him in close combat, which he can get into very quickly by flying.
The other demons, with their access to high level magic, seem even better. The fantasy spells are far more devastating than 40K psychic powers and some of the anti-missile ones like Cause rain or Curse of Arrow Attraction would be particularly effective against a 40K army.